Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0354
Annualized Std Dev 0.2751
Annualized Sharpe (Rf=0%) 0.1288

Row

Daily Return Statistics

Close
Observations 5511.0000
NAs 1.0000
Minimum -0.1533
Quartile 1 -0.0076
Median 0.0007
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0090
Maximum 0.1642
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0007
Variance 0.0003
Stdev 0.0173
Skewness -0.5431
Kurtosis 9.5042

Downside Risk

Close
Semi Deviation 0.0128
Gain Deviation 0.0115
Loss Deviation 0.0140
Downside Deviation (MAR=210%) 0.0172
Downside Deviation (Rf=0%) 0.0127
Downside Deviation (0%) 0.0127
Maximum Drawdown 0.7719
Historical VaR (95%) -0.0259
Historical ES (95%) -0.0423
Modified VaR (95%) -0.0275
Modified ES (95%) -0.0566
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 NA -0.7719 3474 444 NA
1999-01-08 2001-10-30 2003-05-06 -0.3542 1014 650 364
2006-05-08 2006-06-13 2006-11-29 -0.2359 144 26 118
2005-03-08 2005-05-13 2005-08-01 -0.1480 102 48 54
2005-09-12 2005-10-20 2005-12-13 -0.1089 66 29 37

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 -0.7 2.7 -1.3 -3.4 -1.3 1.4 2.1 2.2 0.7 0 -5 -2.9
2000 -3.1 -1.6 0 -0.8 -3.1 -1.6 0 1.6 0 2.7 0 -1.6 -7.4
2001 3.8 -0.6 0 1.5 0 0.6 -0.8 0.6 4 3 4.8 0.3 18.4
2002 1.1 0.4 0.8 0.7 -1 0.5 -1.8 0.8 -0.7 1 -0.4 0.7 2.2
2003 0.4 0 2 -0.1 -1.8 2.2 -3.4 -0.3 0.1 0.3 1.5 -0.2 0.7
2004 0.3 0.9 1.5 -0.2 -0.7 -0.5 0 -0.6 0.4 0.8 0.6 -0.1 2.4
2005 1.4 -0.2 0.2 0.9 -0.1 0 2.6 1.4 -0.4 -0.4 1.4 0.2 7
2006 0.3 0.4 0.5 -0.3 0.9 3.3 -0.1 1.3 -0.2 -0.7 1.4 1.3 8.5
2007 0.4 -0.9 0.1 0.3 0.1 0.4 0.7 2.1 1.2 -2.6 0.1 -1 0.9
2008 1.2 -1.9 2.8 1.1 -0.1 -2.1 -1.3 1.1 -1.2 3.4 -6.3 -0.4 -3.9
2009 1.8 2 2.4 0.6 2.4 1.9 2.5 -2.8 -3.4 -3.3 3.1 -1.2 6
2010 2.5 -0.2 1.6 0.3 -3 2.6 -0.7 2.9 2.2 -1.2 4.9 1.5 13.9
2011 2.7 -1.8 1 -1.4 -1.8 1.5 -1.3 -2 -4 -5.5 -2.2 0.3 -13.8
2012 1.9 1.4 0.4 0.7 -2.4 5.9 -1.1 2 1.1 1.3 0.5 1.7 14.1
2013 0.9 0.2 -0.7 -0.8 -2.3 1.2 2.2 -1.1 0.9 -0.8 -0.3 0.4 -0.2
2014 -2.4 -1.5 1.5 0.1 0.4 0.1 -0.8 0 -0.6 0.6 -0.2 -0.7 -3.5
2015 -0.9 0.4 1.5 1 -1 1.4 1.2 -2 0.5 0.3 1.5 -1.2 2.9
2016 -0.6 2.3 0.4 1.5 -1 0 -1.6 1.7 1.1 -0.4 0.4 -0.1 3.7
2017 1.4 2 -0.3 0.4 1 0.9 0.4 0.3 0.9 0.1 0.1 -0.2 7.2
2018 0.8 -0.6 -0.3 -0.5 -0.1 1.2 -0.3 -0.9 0 1.3 0 0.6 1.2
2019 0.3 0.7 1.8 -0.4 -0.6 0.4 -1.2 0.3 -0.5 1.1 -1.3 0.4 0.9
2020 -0.8 0.3 -3.9 -1.7 1.3 0.6 -3 -0.1 -0.1 0.4 3.5 -1.2 -4.8
2021 0.9 1.9 -1.1 NA NA NA NA NA NA NA NA NA 1.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04 10.2  SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05 10.3  SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06 10.3  SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07 10.4  SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08 10.1  SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  9.94 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart